Analysis On Economic Climate Of China Embedded In Financial Factors

Since the global financial crisis broke out in 2008,countries all over the world are in a slow recovery period,the residual heat effect of the financial crisis is spread to the real economy of some countries,and then lead to economic crisis.With the deepening of trade and economic exchanges all over the world,the trend of economic globalization and economic financialization is becoming more and more obvious,the economy all over the world is linked more and more closely,the financial market and the real economy has become an inseparable system,mutual penetration and infection.It is because of this financial crisis,scholars began to pay attention to the monitoring and warning of financial and economic risks,and they also began to rethink that it is not feasible to use finance as a tool for leveraging the economy.The traditional research methods have separated the internal relationship between finance and economy,but modern finance has become the driving force of economic development which has the function of resource allocation and economic regulation and is the core of modern economy.Therefore,the study of macroeconomic theory must incorporate into the financial system.On the basis of macroeconomic theory,the financial system will be endogenously embedded into the traditional macro-economic system,and this paper set up a simultaneous equation model with both of demand and supply.Besides,this model takes into account the endogeneity of the variables,and takes analogue simulation for macroeconomic system by studying the interaction between endogenous variables and exogenous variables.This model selects 59 variables,including product market,labor market,money market,stock market,real estate market,the insurance market and the international market,which consists of 35 endogenous variables and 24 exogenous variables,and 35 behavioral equations are established.The model involves a total of 8 modules of the macroeconomic system,based on the principle that demand and supply is dual oriented and demand is the main direction.In the model,supply direction includes GDPmodule,consumption and income module,investment module,finance module,foreign trade module,price module and financial module.Among them,the indexes of financial module is extended to banks,stocks,bonds,real estate,insurance and international crude oil makets,which try to reflect the characteristics of the financial system as comprehensive as possible.Besides,supply direction mainly includes production capacity module,which describes the aggregate supply function and the equilibrium of labor market.This paper is divided into four chapters.The first chapter introduces the background and significance of the research,then summarizes the research status of macroeconomic climate,financial system and related literature.In the second chapter,we introduce the theoretical basis of a general simultaneous equation model,identification of equations,and estimation methods of model parameters.Aslo,we introduce the time difference correlation analysis theory and Co-integration theory.The third chapter is the core of this paper.First of all,according to the new Keynes theory "IS-LM+Phillips curve" and AD-AS model,we establish the core equations of economic system including both of supply and demand.Secondly,the paper describes the selection of indicators and the methods of datas processed.This paper uses the quarterly datas from 2005 to 2015 as the sample interval,all of the value variables are deflated to get true value,then we calculate the year-on-year growth rates,and take Census X12 method to adjustment seasonal affects of the variables with seasonal factors.Moreover,we do the unit root testing for all variables,and make Co-integration testing and correcting for the unstable series,avoid spurious regression of the equations.Thirdly,according to the core equations and the selected index variables,this paper establishes the general frame of the macroeconomic system embedded in financial factors,which clearly records the path of communication between internal and external variables.Thus,we can control the relationship between variables in macro aspect.Furthermore,In the process of establishing the specific simultaneous equations,taking into account the inextricably linked of index variables,and the difference of data processing methods,introduction of lag order and selection of instrumental variables and so on,which have a great impact on theestimation results,we use the time difference correlation analysis to clarify antecedent,consistent and lag relations between variables.On this basis,the lag order of the equations is quantitatively analyzed,which plays an important role in the fitting of the model.Finally,we use the three stages least squares method to estimate the model,and then explains the economic results of main equations.The fourth chapter is the empirical part of this paper.First of all,according to the estimation results of the simultaneous equations model,the paper tests the fit of the main economic indicators;Secondly,we give different scenarios of impact on exogenous variables in each quarter in 2015,and then simulation macroeconomic policies;Thirdly,the pressure and scenario tests on the model is made in the entire time series,we construct financial condition index FCI and economic climate index ECI of China by testing the effects of exogenous variables of different impact on the endogenous variables and through the method of determining the weights;Finally,by comparing to the two indexes,we find that the financial condition index of China can forecast the inflation,and the economic climate index can forecast macroeconomic fluctuations of China,moreover,FCI also take about a quarter efore ECI.Therefore,it can be concluded that the fluctuation of financial market of China can play a role in monitoring and warning of macroeconomic fluctuations.